Order Book
نویسنده
چکیده
• Bollerslev and Domowitz (1993) used computer simulations to study the effects of varying the length of an electronic order book. They state that the appearance and increasing persistence of serial correlation in the variance of transactions price returns is traced to the existence and length of the electronic book, as is the degree of non-normality in transactions returns. Whilst increases in the serial correlation of the market bid-ask spread as the book lengthens is isolated as one possible transmission mechanism of serial dependence in the variance of transactions prices.
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